Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
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DOI: 10.1080/14697688.2020.1820072
Abstract: Accurate estimation and optimal control of tail risk is important for building portfolios with desirable properties, especially when dealing with a large set of assets. In this work, we consider optimal asset allocation strategies based… read more here.
Keywords: deviation; tail risks; risk; risks large ... See more keywords